Arbitrage Theory In Continuous Time
by Tomas Bjork
6mentions
5recommended by
6HN commenters
2010–2022first – last mentioned
83% recommend17% neutral
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…lots of little details most theoretical books skip) If you want something more theoretical: - "Introduction to Stochastic Calculus Applied to Finance" by Lamberton and Lapeyre (Nice little intro) - "Arbitrage Theory in Continuous Time" by Tomas Bjork (Slower discussion, larger breadth) - "Brownian Motion and Stochastic Calculus" and "Methods of Mathematical Finance" by Karatzas and Shreve (Solid theoretical foundation, for the more…
on “Good books for hackers interested in quant finance?” ↗Someone with a strong math background should cut Wilmott and go directly to Shreve: Stochastic Calculus for Finance II (or Björk: Arbitrage Theory in Continuous Time).
on “Offline Algorithms in Low-Frequency Trading” ↗If you come from a pure math theory first background I would advise starting out with Björks “Arbitrage theory in continuous time”, I personally found the lack of rigor and superfluous examples in Hull frustrating and found Björk much more approachable then you can look into Hull for real life practicalities like daycount conventions,…
on “Understanding Jane Street” ↗If you need to understand derivatives then start with Hull: Options, Futures and Other Derivatives. Then read Björk: Arbitrage Theory in Continuous Time. Both excellent books in their own ways. But it depends completely on what kind of finance you’ll be doing!
on “Ask HN: Programmer at a Financial Startup” ↗Arbitrage Theory in Continuous Time (Oxford Finance Series) http://www.amazon.com/gp/product/0199271267/ref=oss_product
on “Ask HN: Good resources for learning+getting into Finance / Trading?” ↗> Björk: Arbitrage Theory in Continuous Time is standard graduate stochastic calculus course material. An undergrad degree in math usually specializes in a certain track: algebra or analysis. The analysis background would be a closer fit as the…
on “Offline Algorithms in Low-Frequency Trading” ↗